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A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset.

Xiaojiao TongLiqun QiFelix F. WuHui Zhou
Published in: Appl. Math. Comput. (2010)
Keyphrases
  • portfolio selection
  • portfolio optimization
  • objective function
  • cost function
  • particle swarm optimization
  • feature extraction
  • linear programming
  • combinatorial optimization